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You have daily returns for the S&P 500 Index from 2015 to 2020. You are interested in classifying the daily Direction of stock returns as
You have daily returns for the S&P 500 Index from 2015 to 2020. You are interested in classifying the daily Direction of stock returns as UP or Down. With Direction as your dependent variable and the first two lags as predictors (lags are past values of the returns; here the first two lags would be the past two days of returns) you use a logistic regression over a test set. The confusion matrix for the logistic regression estimated is shown beside with the true states of nature appearing in the Down and Up columns. Find the rate of correct Direction glm. pred Down Up predictions. Down 145 141 Up 457 507 You have daily returns for the S&P 500 Index from 2015 to 2020. You are interested in classifying the daily Direction of stock returns as UP or Down. With Direction as your dependent variable and the first two lags as predictors (lags are past values of the returns; here the first two lags would be the past two days of returns) you use a logistic regression over a test set. The confusion matrix for the logistic regression estimated is shown beside with the true states of nature appearing in the Down and Up columns. Find the rate of correct Direction glm. pred Down Up predictions. Down 145 141 Up 457 507
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